CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8191	3.48***
α ARCH Response to squared shocks	0.1478	5.63***
β GARCH Volatility persistence	0.8119	21.51***

γ₁	0.4494	2.84***
γ₂	-0.6735	-3.09***
γ₃	0.2876	3.38***

V-Lab

Mark Dynamics Indo Zero Slope Spline-GARCH Volatility Analysis

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